New PDF release: Operational Risk Toward Basel III: Best Practices and Issues

Risk Management

By Greg N. Gregoriou

This ebook includes chapters by way of participants (well-known professors, practitioners, and specialists from huge and good revered cash administration agencies inside of this sector) supplying the most recent study within the OpRisk quarter. The chapters spotlight how operational threat is helping companies live to tell the tale and prosper via givingreaders the newest, state-of-the-art thoughts in OpRisk administration. issues mentioned comprise: Basel Accord II, preparing for the recent Basel III, severe price idea, the hot capital standards and laws within the banking area on the subject of monetary reporting (including constructing techniques corresponding to OpRisk coverage which wasn't part of the Basel II framework). The e-book extra mentioned quantitative and qualitative features of OpRisk, in addition to fraud and purposes to the fund undefined.

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Extra info for Operational Risk Toward Basel III: Best Practices and Issues in Modeling, Management, and Regulation (Wiley Finance)

Sample text

The Operational Risk Subgroup (AIGOR) of the Basel Committee Accord Implementation Group defines three different quantitative measurement approaches on a continuum of increasing sophistication and risk sensitivity for the estimation of operational risk based on eight business lines (BLs) and seven event types (ETs)4 as units of measure (Basel Committee 2003a). Risk estimates from different units of measure must be added for purposes of calculating the regulatory minimum capital requirement for operational risk.

Higher percentiles indicate a lower probability of extreme observations with high loss severity (UL). There are three major concepts of operational risk measurement: 1. The volume-based approach, which assumes that operational risk exposure is a function of the type and complexity of business activity, especially in cases when notoriously low margins (such as in transaction processing and payments system–activities) have the potential to magnify the impact of operational risk losses Consistent Quantitative Operational Risk Measurement 27 2.

V. 1983. Reconciliation of probability distributions. Operations Research 31, no. 5:866–880. Morris, P. A. 1974. Decision analysis expert use. Management Science 20, no. 9:1233–1241. Moscadelli, M. 2004. The modelling of operational risk: Experience with the analysis of the data collected by the Basel Committee. Working paper 517, Banca d’Italia, Rome. O’Hagan, A. 1998. Eliciting expert beliefs in substantial practical applications. The Statistician 47, no. 1:21–35. , and A. Riabacke. 2005. A study on framing effects in risk elicitation.

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